| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 20.24% | 19.11% |
| CAGR﹪ | 22.53% | 21.27% |
| Sharpe | 0.62 | 0.52 |
| Prob. Sharpe Ratio | 40.81% | 34.41% |
| Smart Sharpe | 0.6 | 0.5 |
| Sortino | 0.87 | 0.78 |
| Smart Sortino | 0.85 | 0.76 |
| Sortino/√2 | 0.62 | 0.55 |
| Smart Sortino/√2 | 0.6 | 0.54 |
| Omega | 1.11 | 1.11 |
| Max Drawdown | -27.94% | -28.56% |
| Longest DD Days | 115 | 117 |
| Volatility (ann.) | 28.08% | 37.54% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.81 | 0.74 |
| Skew | -0.53 | 1.08 |
| Kurtosis | 3.0 | 20.52 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.55% | 1.47% |
| Expected Yearly | 9.65% | 9.14% |
| Kelly Criterion | 5.41% | 8.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.81% | -3.79% |
| Expected Shortfall (cVaR) | -2.81% | -3.79% |
| Max Consecutive Wins | 4 | 8 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.16 | 0.16 |
| Gain/Pain (1M) | 0.94 | 1.01 |
| Payoff Ratio | 1.03 | 1.19 |
| Profit Factor | 1.16 | 1.16 |
| Common Sense Ratio | 1.23 | 1.3 |
| CPC Index | 0.62 | 0.7 |
| Tail Ratio | 1.06 | 1.12 |
| Outlier Win Ratio | 3.72 | 3.2 |
| Outlier Loss Ratio | 3.76 | 3.64 |
| MTD | -2.7% | -3.57% |
| 3M | -13.62% | -14.82% |
| 6M | -7.55% | -7.85% |
| YTD | -7.34% | -8.21% |
| 1Y | 20.24% | 19.11% |
| 3Y (ann.) | 22.53% | 21.27% |
| 5Y (ann.) | 22.53% | 21.27% |
| 10Y (ann.) | 22.53% | 21.27% |
| All-time (ann.) | 22.53% | 21.27% |
| Best Day | 5.23% | 18.48% |
| Worst Day | -8.94% | -12.81% |
| Best Month | 16.05% | 16.56% |
| Worst Month | -7.36% | -7.92% |
| Best Year | 29.76% | 29.77% |
| Worst Year | -7.34% | -8.21% |
| Avg. Drawdown | -3.52% | -5.62% |
| Avg. Drawdown Days | 15 | 27 |
| Recovery Factor | 0.72 | 0.67 |
| Ulcer Index | 0.11 | 0.11 |
| Serenity Index | 0.11 | 0.12 |
| Avg. Up Month | 7.5% | 7.51% |
| Avg. Down Month | -4.8% | -4.86% |
| Win Days | 52.04% | 50.44% |
| Win Month | 58.33% | 50.0% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.5 | - |
| Alpha | 0.11 | - |
| Correlation | 67.48% | - |
| Treynor Ratio | 26.22% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 29.77 | 29.76 | 1.00 | - |
| 2026 | -8.21 | -7.34 | 0.89 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-06-26 | -27.94 | 115 |
| 2026-01-29 | 2026-03-02 | -12.20 | 32 |
| 2025-10-21 | 2026-01-05 | -10.72 | 76 |
| 2025-09-12 | 2025-09-22 | -1.95 | 10 |
| 2026-01-13 | 2026-01-20 | -1.93 | 7 |
| 2025-08-11 | 2025-08-22 | -1.54 | 11 |
| 2025-09-30 | 2025-10-03 | -1.49 | 3 |
| 2025-09-24 | 2025-09-29 | -1.24 | 5 |
| 2026-01-21 | 2026-01-22 | -1.19 | 1 |
| 2026-01-08 | 2026-01-12 | -0.73 | 4 |